Related papers: Some Mathematical Aspects of Price Optimisation
This note is a complementary material for the solution of optimal real-time bidding function in paper "Optimal Real-Time Bidding for Display Advertising, KDD 2014", where the estimated cost is taken as the bid price, i.e., the upper bound…
In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…
We study the optimal mechanism design problem faced by a market intermediary who makes revenue by connecting buyers and sellers. We first show that the optimal intermediation protocol has substantial structure: it is the solution to an…
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximization as special cases. We characterize when the optimal…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
In order to accommodate the increasing amounts of renewable generation in power distribution systems, system operators are facing the problem of how to upgrade transmission capacities. Since line and transformer upgrades are costly,…
In this paper, we derive a temporal arbitrage policy for storage via reinforcement learning. Real-time price arbitrage is an important source of revenue for storage units, but designing good strategies have proven to be difficult because of…
A central question for active learning (AL) is: "what is the optimal selection?" Defining optimality by classifier loss produces a new characterisation of optimal AL behaviour, by treating expected loss reduction as a statistical target for…
We consider a monopolist seller facing a single buyer with additive valuations over n heterogeneous, independent items. It is known that in this important setting optimal mechanisms may require randomization [HR12], use menus of infinite…
We study problems arising in real-time auction markets, common in e-commerce and computational advertising, where bidders face the problem of calculating optimal bids. We focus upon a contract management problem where a demand aggregator is…
We study a bilateral trade problem where a principal has private information that is revealed with delay, such as a seller who does not yet know her production cost. Postponing the contracting process incurs a costly delay, while early…
The robust multi-product pricing problem is to determine the prices of a collection of products so as to maximize the worst-case revenue, where the worst case is taken over an uncertainty set of demand models that the firm expects could be…
We study market-consistent valuation of liability cash flows motivated by current regulatory frameworks for the insurance industry. Building on the theory on multiple-prior optimal stopping we propose a valuation functional with sound…
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the smallest majorant of the gain function in the span of these…
Distributed renewable resources owned by prosumers can be an effective way of fortifying grid resilience and enhancing sustainability. However, prosumers serve their own interests and their objectives are unlikely to align with that of…
We propose a new method for optimistic planning in infinite-horizon discounted Markov decision processes based on the idea of adding regularization to the updates of an otherwise standard approximate value iteration procedure. This…
We propose a method for extending a given asset pricing formula to account for two additional sources of risk: the risk associated with future changes in market--calibrated parameters and the remaining risk associated with idiosyncratic…
We outline a method to estimate the value of computation for a flexible algorithm using empirical data. To determine a reasonable trade-off between cost and value, we build an empirical model of the value obtained through computation, and…
Portfolio optimisation is essential in quantitative investing, but its implementation faces several practical difficulties. One particular challenge is converting optimal portfolio weights into real-life trades in the presence of realistic…
Equilibrium pricing has been proven to underlie the rational Insured expectancy of premia additivity for composition of policies fully covering independent risks.